Purpose This paper provides an objective approach based on available market information
capable of reducing subjectivity, inherently present in the process of expected loss …

Purpose This article aims to analyze the impact of COVID-19 measures by governments and
central banks on International Financial Reporting Standards (IFRS) 9 loan loss provisions …

The landscape of financial credit risk models is changing rapidly. This study takes a brief
look into the future of predictive modelling by considering some factors that influence …

Purpose The purpose of this article is to derive formulas for lifetime expected credit loss of
loans that are required for the calculation of loan loss reserves under IFRS 9. This is done …

A novel procedure is presented for the objective comparison and evaluation of a bank's
decision rules in optimising the timing of loan recovery. This procedure is based on finding a …

In the last two decades, both internal and external risk management of banks have
undergone significant developments. Banking supervision encourages banks to use a risk …

The current expected loss calculations have recently attracted considerable attention in the
research on credit risk modeling, impairment provisioning, and financial networks' stability. A …

ABSTRACT IFRS 9, the new accounting rules for financial instruments require banks to build
provisions for expected losses in their loan portfolios. A requirement which was not present …

A novel procedure is presented for finding the true but latent endpoints within the repayment
histories of individual loans. The monthly observations beyond these true endpoints are …

A theoretical method is empirically illustrated in finding the best time to forsake a loan such
that the overall credit loss is minimised. This is predicated by forecasting the future cash …